Taking Over the Size Effect: Asset Pricing Implications of Merger Activity

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dc.contributor.authorEasterwood, Saraen
dc.contributor.authorNetter, Jeffryen
dc.contributor.authorPaye, Bradley S.en
dc.contributor.authorStegemoller, Michaelen
dc.date.accessioned2023-01-18T14:43:23Zen
dc.date.available2023-01-18T14:43:23Zen
dc.date.issued2022-07-26en
dc.date.updated2023-01-17T21:54:06Zen
dc.description.abstractWe show that merger announcement returns account for virtually all of the measured size premium. An empirical proxy for ex ante takeover exposure positively and robustly relates to cross-sectional expected returns. The relation between size and expected returns becomes positive or insignificant, rather than negative, conditional on this takeover characteristic. Asset pricing models that include a factor based on the takeover characteristic outperform otherwise similar models that include the conventional size factor. We conclude that the takeover factor should replace the conventional size factor in benchmark asset pricing models.en
dc.description.notesYes, full paper (Peer reviewed?)en
dc.description.versionAccepted versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.doihttps://doi.org/10.2139/ssrn.4055513en
dc.identifier.eissn1556-5068en
dc.identifier.issn1556-5068en
dc.identifier.urihttp://hdl.handle.net/10919/113235en
dc.language.isoenen
dc.publisherElsevieren
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectPreventionen
dc.subjectClinical Researchen
dc.titleTaking Over the Size Effect: Asset Pricing Implications of Merger Activityen
dc.title.serialSSRN Electronic Journalen
dc.typeConference proceedingen
dc.type.dcmitypeTexten
pubs.finish-date2022-07-26en
pubs.organisational-group/Virginia Techen
pubs.organisational-group/Virginia Tech/Pamplin College of Businessen
pubs.organisational-group/Virginia Tech/Pamplin College of Business/Finance, Insurance, and Business Lawen
pubs.organisational-group/Virginia Tech/Graduate studentsen
pubs.organisational-group/Virginia Tech/Graduate students/Doctoral studentsen
pubs.organisational-group/Virginia Tech/Pamplin College of Business/PCOB doctoral studentsen
pubs.start-date2022-07-24en

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